DSEEX vs. SPMO
Compare and contrast key facts about DoubleLine Shiller Enhanced CAPE (DSEEX) and Invesco S&P 500® Momentum ETF (SPMO).
DSEEX is managed by DoubleLine. It was launched on Oct 31, 2013. SPMO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Momentum Index. It was launched on Oct 9, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DSEEX or SPMO.
Key characteristics
| DSEEX | SPMO | |
|---|---|---|
| YTD Return | 15.87% | 47.10% |
| 1Y Return | 29.63% | 62.23% |
| 3Y Return (Ann) | -7.27% | 15.26% |
| 5Y Return (Ann) | 2.89% | 20.75% |
| Sharpe Ratio | 2.44 | 3.56 |
| Sortino Ratio | 3.30 | 4.55 |
| Omega Ratio | 1.44 | 1.63 |
| Calmar Ratio | 0.75 | 4.81 |
| Martin Ratio | 14.74 | 20.03 |
| Ulcer Index | 2.00% | 3.16% |
| Daily Std Dev | 12.09% | 17.79% |
| Max Drawdown | -46.92% | -30.95% |
| Current Drawdown | -20.43% | 0.00% |
Correlation
The correlation between DSEEX and SPMO is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DSEEX vs. SPMO - Performance Comparison
In the year-to-date period, DSEEX achieves a 15.87% return, which is significantly lower than SPMO's 47.10% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DSEEX vs. SPMO - Expense Ratio Comparison
DSEEX has a 0.54% expense ratio, which is higher than SPMO's 0.13% expense ratio.
Risk-Adjusted Performance
DSEEX vs. SPMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DoubleLine Shiller Enhanced CAPE (DSEEX) and Invesco S&P 500® Momentum ETF (SPMO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
DSEEX vs. SPMO - Dividend Comparison
DSEEX's dividend yield for the trailing twelve months is around 4.65%, more than SPMO's 0.45% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DSEEX DoubleLine Shiller Enhanced CAPE | 4.65% | 4.60% | 3.87% | 1.63% | 1.73% | 2.74% | 3.38% | 2.16% | 2.12% | 2.88% | 2.61% | 0.48% |
SPMO Invesco S&P 500® Momentum ETF | 0.45% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% | 0.00% |
Drawdowns
DSEEX vs. SPMO - Drawdown Comparison
The maximum DSEEX drawdown since its inception was -46.92%, which is greater than SPMO's maximum drawdown of -30.95%. Use the drawdown chart below to compare losses from any high point for DSEEX and SPMO. For additional features, visit the drawdowns tool.
Volatility
DSEEX vs. SPMO - Volatility Comparison
The current volatility for DoubleLine Shiller Enhanced CAPE (DSEEX) is 3.72%, while Invesco S&P 500® Momentum ETF (SPMO) has a volatility of 4.85%. This indicates that DSEEX experiences smaller price fluctuations and is considered to be less risky than SPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.